Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0391
Annualized Std Dev 0.2330
Annualized Sharpe (Rf=0%) -0.1677

Row

Daily Return Statistics

Close
Observations 3354.0000
NAs 1.0000
Minimum -0.1285
Quartile 1 -0.0056
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0062
Maximum 0.1108
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0147
Skewness -0.5756
Kurtosis 10.6297

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0103
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.7134
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0377
Modified VaR (95%) -0.0234
Modified ES (95%) -0.0482
From Trough To Depth Length To Trough Recovery
2007-12-12 2009-03-09 NA -0.7134 3341 311 NA
2007-11-21 2007-11-21 2007-11-26 -0.0264 2 1 1
2007-11-27 2007-11-27 2007-11-29 -0.0106 3 1 2
2007-12-04 2007-12-04 2007-12-06 -0.0082 3 1 2
2007-12-10 2007-12-10 2007-12-11 -0.0037 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA 0.9 0.9 1.8
2008 0.8 -3.3 1.2 0.5 0.7 -1.1 -0.5 0.3 -0.4 4 -6.9 -0.2 -5.3
2009 -1.2 1.1 1.9 1.3 3 -0.2 1.6 -2.2 -2.2 -1.8 1.6 0.3 3.1
2010 1.2 1.1 1.5 -0.5 -1.4 0.9 -1.3 3.3 1.5 0.6 2.5 -0.4 9.3
2011 1.4 -1.3 0.5 0.4 -2 1.1 -0.4 -0.9 -1.1 -2.5 -1.1 0 -5.7
2012 1.7 0.3 0.9 0.1 -0.6 2.7 0.3 1 0.2 1.5 0.4 1.3 10.4
2013 0.5 0.7 -1.8 -0.5 -1.7 0 1.5 -0.1 0.6 -0.1 0.1 0.7 0
2014 -1.5 0.3 0.2 0.3 0 0.4 -0.2 -0.2 -1.1 2.6 0.1 -0.9 -0.1
2015 -1.8 -0.6 0.8 0.6 0 0.7 0.1 -2.6 0.4 -0.1 1.9 -1.3 -2.2
2016 0.6 2.7 -1 0.4 0.1 0.4 -0.3 0.6 1.1 0 -1.2 0.8 4.2
2017 0.3 0.3 0.3 0.2 1 -0.1 0.4 0 0.9 0.1 0 0.2 3.8
2018 -0.7 -0.4 1.2 -0.1 0.1 0.4 -0.8 -0.3 -0.1 1.8 -0.7 0 0.3
2019 -0.5 0.1 0.5 -0.5 -0.1 0.4 -0.3 0.4 -0.8 0.8 -0.2 0.4 0.2
2020 -0.2 -2.7 -3.5 -3 2.1 1.5 -0.9 -0.3 1.4 -0.2 1.3 -0.4 -4.9
2021 0.8 1.1 0.8 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-11-19  47.7 SPY    144. -0.0139   0.0004  -0.0395  -0.0081   0.0241    0.212    0.573 GLD    77.2 -6.60e-3  -0.0135
2 2007-11-20  48.2 SPY    145.  0.0061  -0.0232  -0.0392  -0.0137   0.0301    0.218    0.599 GLD    79.5  2.89e-2   0.0044
3 2007-11-21  46.9 SPY    142. -0.0205  -0.0406  -0.0664  -0.033    0.0084    0.207    0.568 GLD    79.4 -1.40e-3  -0.0115
4 2007-11-26  48.3 SPY    141. -0.0221  -0.0332  -0.0717  -0.0408   0.0002    0.193    0.498 GLD    81.3  6.00e-4   0.0457
5 2007-11-27  47.8 SPY    143.  0.0115  -0.0083  -0.0719  -0.008    0.0158    0.204    0.526 GLD    80.1 -1.48e-2   0.037 
6 2007-11-28  48.1 SPY    147.  0.032    0.0172  -0.0454   0.004    0.0629    0.243    0.574 GLD    79.6 -6.60e-3   0.0013
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart